PENGUKURAN RISIKO PORTOFOLIO INVESTASI DENGAN VALUE at RISK (VaR) MELALUI PENDEKATAN MODEL MARKOV REGIME-SWITCHING; (INVESTMENT PORTFOLIO RISK MEASUREMENT WITH VALUE at RISK (VaR) THROUGH MARKOV REGIMESWITCHING MODEL APPROACH)

MAchfitroh, Ines Saraswati, Dedi Rosadi

2015 | Disertasi | FMIPA

In this thesis, it will be discussed how to measure the investment portfolio risk with Value at Risk (VaR) approach variance-covariance method, historical simulation methods and models Markov regime-switching 2 state. Testing of methods and models used in this thesis is the method of backtesting with Kupiest test. Software used to analyze the data and test the methods and models in this thesis is the program R 2.11.1 and EViews 7.

Kata Kunci : EViews 7. The risk of investment portfolio; Value at Risk (VaR); variancekovariance method; historical simulation method; models Markov regime-switching 2 state; Backtesting; Kupiec test; R 2.11.1 and EViews 7